from my experience you can forgo mitigation(armor, MR) until late game in favor of all HP if you level feint initially, as well as try to use it intuitively in team battles, while leaving enough energy for a second taunt after initiation.

Stacking HP isn't a bad option, so long as you gain some substance armor/MR and a bit of HP regen from that to back up that extra health and keep it from being eaten away and not restored.

im pretty sure crit Shen is where it's at.

DPS shen is pretty nice and fun early and mid game. But by late game my tank shen totally screwed the team over..nothing DPS shen could do about it

There is NEVER one or even just two set ways to play a hero, its all in the eye of the beholder and i for one support anyone who strays from the norm (As long as they find a way for it to be effective). be creative, dont just follow the crowd and do exactly what you read in some guide.

So far I've been having success building him with Bloodrazer, Merc/tabi, leviathan and Aegis. (of course finish tank items before Bloodrazer).

I can do a lot of hurt to some of my taunt targets while surviving some punishment.